I worked it out, but it takes a moment to understand. I am guessing "free-form" means that the list is a form that will display in a block/page somewhere, hence why the option to show it during registration disappears. You want optional.

The temptation is also to set up an optional list and select "anonymous" as you want anonymous users to be able to sign up. You don't - the registration form is for signing up to be an authenticated user, so that is the role you need. Here are my settings that are working for me in my sandbox:

gcbCreditAttribution: gcb at ThinkShout commented 5 January 2017 at 18:42

@maferpar that's all from the 2x branch of the module. It has been completely refactored. you would now use "Mailchimp Lists" module and create a field on the User entity to get this effect (on 3x or 4x).

Note that the Mailchimp API has been updated, and you should only be using the 4x branch of this module.